Evaluating monthly volatility forecasts using proxies at different frequencies

This paper analyses the forecastability of stock returns monthly volatility. The forecast obtained from GARCH and AGARCH models with Normal and Student's t errors are evaluated with respect to proxies for the unobserved volatility obtained through sampling at different frequencies. It is found that aggregation of daily multi-step ahead GARCH-type forecasts provide rather accurate predictions of monthly volatility.

Pollen and grain size records in abyssal sediments of the northwest Pacific Ocean as proxies of Plio-Pleistocene climate change /

A distinctive period of global change occurred during the PUocene between the warm Miocene and subsequent Quaternary cooling. Samples from Ocean Drilling Project Site 11 79 (-5586 mbsl, 41°4'N, 159°57'E), Site 881 (-5765 mbsl, 47°6.133'N, 161°29.490'E) and Site 882 (-3255 mbsl, 50°22'N, 167°36'E) were studied to determine the magnitude and composition ofterrigenous flux to the western mid-latitude North Pacific and its relation to climate change in East Asia since the mid-Pliocene. Dust-sized particles (including pollen), sourced from the arid regions and loess plateaus in East Asia are entrained by prevailing westerly winds and transported to the midlatitude northwest North Pacific Ocean. This is recorded by peaks in the total concentration of pollen and spores, as well as the mean grain size of allochthonous and autochthonous silicate material in abyssal marine sediments. Aridification of the Asian interior due to the phased uplift of the Himalayan-Tibetan Plateau created the modem East Asian Monsoon system dominated by a strengthening of the winter monsoon. The winter monsoon is further enhanced during glacials due to the expansion of desert and steppe environments at the expense ofwoodlands and forests recorded by the composition of palynological assemblages. The late Pliocene-Pleistocene glacials at ODP Sites 1 179, 881, and 882 are characterized by increases in grain size, magnetic susceptibility, pollen and spore concentrations around 3.5-3.3, 2.6-2.4, 1.7-1.6, and 0.9-0.7 Ma (ages based on magnetostratigraphic and biostratigraphic datums). The peaks during these times are relatively rich in pollen taxa derived primarily from steppe and boreal vegetation zones, recording cool, dry climates. The overall size increase of sediment and abundance of terrestrial palynomorphs record enhanced wind strength. The increase in magnitude of pollen and spore concentrations as well as grain size record global cooling and Northern Hemisphere glaciation. The peaks in grain size as well as pollen and spore abundance in marine sediments correlate with the mean grain size of loess in East Asia, consistent with the deflation of unarmoured surfaces during glacials. The transport of limiting nutrients to marine environments enhanced sea surface productivity and increased the rate of sediment accumulation.

Freshwater dinoflagellates as proxies of cultural eutrophication: a case study from Crawford Lake, Ontario

Crawford Lake, Ontario, provides an ideal natural laboratory to study the response of freshwater dinoflagellates to cultural eutrophication. The anoxic bottom waters that result from meromixis in this small (2.4 ha) but deep (24 m) lake preserve varved sediments that host an exceptional fossil record. These annual layers provide dates for human activity (agriculture and land disturbance) around the lake over the last millennium by both Iroquoian village farmers (ca. A.D. 1268-1486) and Canadian farmers beginning ~A.D. 1883. The well established separate intervals of human activity around Crawford Lake, together with an abundance of available data from other fossil groups, allow us to further investigate the potential use of the cyst of freshwater dinoflagellates in studies of eutrophication. Cyst morphotypes observed have been assigned as Peridinium willei Huitfeldt-Kaas, Peridinium wisconsinense Eddy and Peridinium volzii Lemmermann and Parvodinium inconspicuum (Lemmermann) Carty. The latter two cyst-theca relationships were determined by culturing and by the exceptional preservation of thecae of P. inconspicuum in varves deposited at times of anthropogenic reductions in dissolved oxygen.

Non-pollen palynomorphs and thecamoebians as proxies of environmental and anthropogenic change: a case study from Lake Simcoe, Ontario, Canada

The distribution of aquatic microfossils and pollen in the long core from Lake Simcoe (LS07PC5) shows synchronous response since deglaciation, highlighting the potential of little-known non-pollen palynomorphs (NPP) as paleolimnological indicators. Upcore variations in NPP, thecamoebians and pollen reflect hydrological and climatic variations: onset of the Main Lake Algonquin, the draining of Lake Algonquin, the early Holocene drought, the midto late Holocene climate shifts including mid-Holocene drought and the Little Ice Age, and human settlement. The distribution of microfossils in the short cores (CB1 and SB1) shows the level of eutrophication decreasing gradually from Cook’s Bay to the Atherley Narrows outflow due to differences in the extent of anthropogenic impact and cumulative retention of phosphorous within sediments. Changes in assemblages and concentration of NPP within the cores reflect the history of settlement within Lake Simcoe basin, recording temporal differences in eutrophication.

Using proxies to calculate the carbon impact of investment into electricity network assets

Replacement and upgrading of assets in the electricity network requires financial investment for the distribution and transmission utilities. The replacement and upgrading of network assets also represents an emissions impact due to the carbon embodied in the materials used to manufacture network assets. This paper uses investment and asset data for the GB system for 2015-2023 to assess the suitability of using a proxy with peak demand data and network investment data to calculate the carbon impacts of network investments. The proxies are calculated on a regional basis and applied to calculate the embodied carbon associated with current network assets by DNO region. The proxies are also applied to peak demand data across the 2015-2023 period to estimate the expected levels of embodied carbon that will be associated with network investment during this period. The suitability of these proxies in different contexts are then discussed, along with initial scenario analysis to calculate the impact of avoiding or deferring network investments through distributed generation projects. The proxies were found to be effective in estimating the total embodied carbon of electricity system investment in order to compare investment strategies in different regions of the GB network.

Are one-sided S,s rules useful proxies for optimal pricing rules?

This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. It aims to assess whether one-sided pricing rules could be an adequate individual rule for macroeconomic models, despite its suboptimality. It aims to answer two questions. First, since agents are not fully rational, is it plausible that they use such a non-optimal rule? Second, even if the agents adopt optimal rules, is the economist committing a serious mistake by assuming that agents use one-sided Ss rules? Using parameters based on real economy data, we found that since the additional cost involved in adopting the simpler rule is relatively small, it is plausible that one-sided rules are used in practice. We also found that suboptimal one-sided rules and optimal two-sided rules are in practice similar, since one of the bounds is not reached very often. We concluded that the macroeconomic effects when one-sided rules are suboptimal are similar to the results obtained under two-sided optimal rules, when they are close to each other. However, this is true only when one-sided rules are used in the context where they are not optimal.

Liquidity proxies in the Brazilian debenture market

Este estudo analisa as variáveis de liquidez no mercado corporativo brasileiro de debêntures e testa a variável Eurobond para compreender quais características ajudam a prever a liquidez de debêntures. Embora os mercados de capitais brasileiros tenham melhorado drasticamente nos últimos anos, as grandes empresas brasileiras têm muitas opções na hora de tomar a decisão de aumentar capital (emissão de Eurobônus é um deles). Este estudo busca preencher uma lacuna na literatura acadêmica vendo se existe uma relação de liquidez entre os dois mercados. O proxy Eurobond foi encontrado significativo ao nível de 5% e o nível de 1%. Os outras proxies que foram significativos (valor de emissão, data de vencimento inicial, Avaliação) coincidem com os resultados de estudos anteriores.

Iron oxides as proxies for characterizing anisotropy in soil CO2 emission in sugarcane areas under green harvest

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Paleoproductivity changes during the Holocene in the inner shelf of Cabo Frio, southeastern Brazilian continental margin: Benthic foraminifera and sedimentological proxies

Sedimentological and benthic foraminifera analyses carried out on a core (length 4.15 in, collected at 22 degrees 56`31 `` S and 41 degrees 58`48 `` W, at a water depth of 43 in) sampled from the inner shelf of Cabo Frio, southeastern Brazilian continental margin, allowed identification of different hydrodynamic and productivity regimes related to sea-level fluctuations and/or climatic changes, during the last 9.4 ka cal BP. Prior to 7.0 ka cal BP, a less intense hydrodynamic and lower productivity regime occurred at lower sea levels and under drier climatic conditions. Between 7.0 and 5.0 ka cal BP, relatively stronger local oceanic circulation and relatively high productivity were observed, in a scenario of rising sea levels and more humid conditions. From 5.0 to 3.0 ka cal BP, bottom currents weakened and input of nutrients increased, with productivity levels similar to the previous phase at lower sea level and in a drier climate. From 3.0 ka cal BP up to the present, stronger hydrodynamic conditions and a higher productivity regime are linked to the establishment of the upwelling process in Cabo Frio. From 2.5 ka cal BP to the present, upwelling enhancement has been recognized, resulting from the combined action of NE winds and the intensification of the meandering pattern of the Brazil Current (BC). (C) 2008 Elsevier Ltd and INQUA. All rights reserved.

Holocenic proxies of sedimentary organic matter and the evolution of Lake Arari-Amazon Region

Four sediment cores were sampled from Lake Arari, located on Marajo Island at the mouth of the Amazon River. The island's vegetation cover is composed mainly of Amazon coastal forest, herbaceous and varzea vegetation. The integration of data on sedimentary structures, pollen, carbon and nitrogen isotope records, C/N ratios and radiocarbon ages allowed the identification of changes in vegetation and the sources of organic matter accumulated in the lake during the Holocene. The data indicate a relatively high flow energy, marine water influence and the presence of mangroves during the lagoon phase between 8990 and 8690 cal yr B.P. and 2310-2230 cal yr B.P. Between 2310 and 2230 cal yr B.P. and similar to 1000 cal yr B.P., the flow energy decreased and the mangroves were replaced by herbaceous vegetation following the decline in marine influence, likely due to the increase in freshwater river discharge. During the last 1000 years, Lake Arari was established in association with the expansion of herbaceous vegetation and the dominance of freshwater algae. (C) 2011 Elsevier BM. All rights reserved.